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Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to Ravishanker, N. and B. K. Ray (1997) Australian Journal of Statistics 39 (3), 295-311
Australian & New Zealand Journal of Statistics ( IF 1.1 ) Pub Date : 2019-02-20 , DOI: 10.1111/anzs.12253
Ross Doppelt 1 , Keith O'Hara 2
Affiliation  

We discuss posterior sampling for two distinct multivariate generalizations of the univariate ARIMA model with fractional integration. The existing approach to Bayesian estimation, introduced by Ravishanker and Ray (1997), claims to provide a posterior-sampling algorithm for fractionally integrated vector autoregressive moving averages (FIVARMAs). We show that this algorithm produces posterior draws for vector autoregressive fractionally integrated moving averages (VARFIMAs), a model of independent interest that has not previously received attention in the Bayesian literature.

中文翻译:

两类多元分数积分模型的后验采样:Ravishanker, N. 和 BK Ray (1997) 的勘误表,澳大利亚统计杂志 39 (3), 295-311

我们讨论了具有分数积分的单变量 ARIMA 模型的两个不同多元泛化的后验采样。由 Ravishanker 和 Ray (1997) 引入的现有贝叶斯估计方法声称为分数积分向量自回归移动平均 (FIVARMA) 提供后采样算法。我们表明,该算法为向量自回归分数积分移动平均 (VARFIMA) 产生后验绘制,这是一种独立兴趣模型,以前在贝叶斯文献中没有受到关注。
更新日期:2019-02-20
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